Probability Analysis: Tools for SPY Options Pricing

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Sep 24 (1D) Sep 25 (2D) Sep 26 (3D) Sep 29 (6D) Sep 30 (7D) Oct 01 (8D) Oct 02 (9D) Oct 03 (10D) Oct 06 (13D) Oct 07 (14D) Oct 10 (17D) Oct 17 (24D) Oct 24 (31D) Oct 31 (38D) Nov 07 (45D) Nov 14 (52D) Nov 21 (59D) Nov 28 (66D) Dec 05 (73D) Dec 12 (80D) Dec 19 (87D) Dec 26 (94D)
lower 660.896 658.562 656.771 652.729 651.623 650.594 649.627 648.713 646.215 645.448 643.299 638.927 635.159 631.797 628.733 625.90 623.252 620.756 618.39 616.135 613.976 611.903
upper 672.164 674.498 676.289 680.331 681.437 682.466 683.433 684.347 686.845 687.612 689.761 694.133 697.901 701.263 704.327 707.16 709.808 712.304 714.67 716.925 719.084 721.157
expected move 5.634 7.968 9.759 13.801 14.907 15.936 16.903 17.817 20.315 21.082 23.231 27.603 31.371 34.733 37.797 40.63 43.278 45.774 48.14 50.395 52.554 54.627
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
LinkedIn Connect with me on LinkedIn